BLACK-SCHOLES DYNAMICS

T. W. Epps
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T. W. Epps: University of Virginia, USA

Chapter 6 in Pricing Derivative Securities, 2000, pp 257-298 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Structure of Black-Scholes DynamicsApproaches to Arbitrage-Free PricingThe Differential-Equation ApproachThe Equivalent-Martingale ApproachApplicationsForward ContractsEuropean Options on Positive-Investment AssetsExtensions of the Black-Scholes TheoryProperties of Black-Scholes FormulasSymmetry and Put-Call ParityExtreme Values and Comparative StaticsImplicit VolatilityDelta Hedging and Synthetic OptionsInstantaneous Risks and Expected Returns of European OptionsHolding-Period Returns for European Options

Keywords: Arbitrage; Calls; Swaps; Finance; Futures; Hedging; Martingales; Options; P.D.E.S; Puts (search for similar items in EconPapers)
Date: 2000
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